MOVE Index¶
OVERVIEW¶
The MOVE Index — Merrill Lynch Option Volatility Estimate, now maintained by ICE — is the bond market's version of the VIX. It quantifies how violently Treasury yields are expected to swing over the next 30 days, expressed in basis points per year. When MOVE is high, fixed-income traders are paying up for protection against rate shocks. When it's low, the market expects calm yields. Stock-only traders ignore it at their peril: every major equity drawdown since 2008 has been preceded or accompanied by a MOVE spike.
Why It Matters for Equity Traders
Every major equity drawdown since 2008 has been preceded or accompanied by a MOVE spike. Bond vol typically leads stock vol by 2–5 days at regime turns — ignoring MOVE is a structural blind spot.
| MOVE Level | Market Interpretation |
|---|---|
| 50–70 | Low vol regime; post-QE baseline |
| 85–100 | Long-run historical average |
| 130+ | Stress threshold; directional signal for rate-sensitive equities |
| 170+ | Crisis-level rate shock |
HOW IT'S CALCULATED¶
MOVE is a yield-curve-weighted index of normalized implied volatility on 1-month over-the-counter options on Treasury futures. The weights are fixed:
| Treasury | Weight |
|---|---|
| 2-year | 20% |
| 5-year | 20% |
| 10-year | 40% |
| 30-year | 20% |
The implied vols are normalized — expressed in basis points of yield, not percentage points of price. That makes MOVE comparable across rate regimes, unlike raw bond price volatility, which mechanically increases with duration. A MOVE reading of 100 means the market is pricing roughly 100 basis points of annualized yield volatility, or about 6.3 bps of expected daily move on the 10-year (100 ÷ √252).
Daily Move Conversion
A MOVE reading of 100 implies approximately 6.3 bps of expected daily move on the 10-year yield.
Formula: MOVE ÷ √252
WORKED EXAMPLE¶
The long-run average MOVE Index is roughly 85–100. Pre-2022, in the post-QE era, it routinely sat between 50 and 70.
| Date | MOVE Print | Context |
|---|---|---|
| Pre-2022 average | 50–70 | Post-QE suppressed vol regime |
| March 13, 2023 | 198.71 | Day after FDIC seizure of Silicon Valley Bank; 2-year yield moved 109 bps in three sessions |
| October 23, 2023 | 141 | 10-year yield touched 5.00% for first time since 2007 |
| April 8, 2025 | 172 | Tariff-driven Treasury selloff |
Each spike preceded an equity vol expansion: SPX realized vol followed MOVE with a 2–5 day lag.
WHEN TRADERS USE IT¶
Cross-Asset Risk Gauge Equity desks watch MOVE as a leading indicator of VIX expansion. Bond vol typically leads stock vol at regime turns.
Bank Stress Signals Regional banks, BDCs, and REITs are duration-sensitive — a MOVE breakout above 130 is a directional input for those names.
Fed Positioning Pre-FOMC, MOVE prices in the expected dispersion of decision outcomes. A MOVE drop after the statement is the "calm after the cut" signal.
Carry Trades Yen carry, EM debt, and mortgage hedging all unwind when MOVE rips.
Signal Quality
Use the daily close for cleaner signals. Intraday MOVE prints sourced from dealer quotes can be choppy and unreliable for decision-making.
LIMITATIONS AND COMMON MISCONCEPTIONS¶
| Limitation | Detail |
|---|---|
| OTC, not exchange-traded | MOVE is built from dealer-quoted Treasury options, not listed futures options — there is no direct MOVE futures contract to trade; only proxies via TLT options or rate-vol products |
| Annualized, not daily | MOVE of 100 ≠ a 100-bp daily move expectation; divide by √252 for one-day expected magnitude |
| Not a fear index by itself | MOVE can climb during yield rallies as well as selloffs — it measures the size of expected moves, not the direction |
| Lower liquidity than VIX | Intraday MOVE prints can be choppy; the daily close is the cleaner signal |
No Direct Instrument
There is no exchange-traded MOVE futures contract. Traders gain rate-vol exposure through proxies such as TLT options or OTC rate-vol products.